As the VIX® Index grew in popularity over the past decade, many investors have asked if the VIX methodology could be applied to securities representing non-US markets. Investors are interested in volatility and portfolio management relating to emerging markets, particularly in light of the fact that the IMF estimates that the GDP for China could have amazing growth from $1.9 trillion in 2004 to an estimated $13.2 trillion in 2017 (see the 2nd chart below).
CBOE now offers more than 20 volatility indexes that provide intraday updates on implied volatility of different securities.
Here are the average daily closing values in 2012 for four of those indexes that relate to different stock markets around the world —
28.71VXEWZ – CBOE Brazil ETF Volatility Index
26.89VXFXI – CBOE China ETF Volatility Index
25.97VXEEM – CBOE Emerging Markets ETF Volatility Index
17.82VIX – CBOE Volatility Index
TRADING VOLUME IN 2012
Investors use options and futures on volatility indexes to diversify and manage risk. Total trading volume in 2012 for select products was as follows:
55,383 Futures on VXEEM – CBOE Emerging Markets ETF Volatility Index
345 Call Options on VXEEM – CBOE Emerging Markets ETF Volatility Index
237 Put Options on VXEEM – CBOE Emerging Markets ETF Volatility Index
7262 Futures on VXEWZ – CBOE Brazil ETF Volatility Index
CHANGES IN 2012
The CBOE China ETF Volatility Index (VXFXI) was down 26.2% in 2012, with a daily closing high of 38.57 and daily closing low of 20.92.
The CBOE Emerging Markets ETF Volatility Index (VXEEM) was down 33.7% in 2012, with a daily closing high of 37.42 and daily closing low of 20.03.